Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0235 |
| Annualized Std Dev | 0.2274 |
| Annualized Sharpe (Rf=0%) | -0.1035 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3306.0000 |
| NAs | 1.0000 |
| Minimum | -0.1986 |
| Quartile 1 | -0.0015 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0021 |
| Maximum | 0.2248 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0005 |
| UCL Mean (0.95) | 0.0005 |
| Variance | 0.0002 |
| Stdev | 0.0143 |
| Skewness | 0.7530 |
| Kurtosis | 64.4976 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0101 |
| Gain Deviation | 0.0132 |
| Loss Deviation | 0.0147 |
| Downside Deviation (MAR=210%) | 0.0141 |
| Downside Deviation (Rf=0%) | 0.0101 |
| Downside Deviation (0%) | 0.0101 |
| Maximum Drawdown | 0.6954 |
| Historical VaR (95%) | -0.0100 |
| Historical ES (95%) | -0.0324 |
| Modified VaR (95%) | -0.0017 |
| Modified ES (95%) | -0.0017 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-02-07 | 2009-03-06 | NA | -0.6954 | 3303 | 272 | NA |
| 2008-02-04 | 2008-02-05 | 2008-02-06 | -0.0102 | 3 | 2 | 1 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | 1.3 | -1.6 | 0.2 | -0.1 | 0.2 | -2.8 | 0.4 | 0.9 | 7.6 | 1.9 | -2.6 | -2.7 | 2.4 |
| 2009 | -1 | -3.8 | 0 | -0.8 | 0.5 | 0.2 | 0.6 | -0.9 | -0.4 | -0.3 | 0.3 | 0.1 | -5.5 |
| 2010 | 0.9 | 0.1 | -0.2 | 0 | 0 | 0.2 | 0.1 | 0.4 | 0.1 | 0 | 0.3 | 0.6 | 2.7 |
| 2011 | 0.4 | 0.1 | 0.1 | 0.1 | -0.1 | 0.1 | 1 | 0.2 | -0.2 | -1.1 | -0.3 | 0.1 | 0.4 |
| 2012 | 0.3 | 0 | -0.2 | 0.1 | -0.6 | -0.1 | -0.2 | 0.1 | 0.1 | 0.1 | 0.1 | 0.3 | 0 |
| 2013 | 0.2 | -0.1 | -0.1 | -0.1 | -1.1 | 0.4 | -0.6 | 0.2 | -0.2 | -0.2 | 0.2 | -0.1 | -1.4 |
| 2014 | 0 | -0.2 | 0.4 | 0.3 | -0.2 | 0 | -0.3 | 0.1 | -0.4 | 0.2 | -0.4 | 0.3 | -0.3 |
| 2015 | 0.1 | 0.2 | -0.4 | -0.1 | -0.3 | 0.1 | 0.1 | -0.4 | -0.2 | 0 | 0.2 | 0.1 | -0.6 |
| 2016 | 0 | 0.4 | -1.1 | 0.2 | 0.3 | 0 | -0.1 | -0.1 | 0.3 | -0.3 | -0.7 | 0 | -1.2 |
| 2017 | -0.1 | -0.3 | 0.2 | 0.1 | 0.2 | 0.1 | 0.2 | 0.1 | -0.1 | 0.1 | 0.1 | -0.2 | 0.6 |
| 2018 | -0.4 | -0.1 | 0.4 | 0 | 0.2 | 0.2 | -0.4 | 0.2 | -0.8 | 0.2 | -0.4 | 1 | 0 |
| 2019 | 0 | 0.5 | 0.6 | 0.3 | -0.2 | -0.1 | 0.1 | 0 | -0.2 | -0.2 | -0.3 | 0.1 | 0.6 |
| 2020 | 0 | -1.6 | -4.6 | -1.1 | 0.3 | 0.4 | 0.3 | -0.1 | 0.9 | -0.1 | -0.1 | 0.4 | -5.3 |
| 2021 | 0.4 | 0.2 | 0.7 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.4 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2008-01-31 20.4 SPY 137. 0.0182 0.0176 -0.0605 -0.102 -0.0444 0.170 0.588 GLD 91.4 -0.0072 0.0147
2 2008-02-01 20.6 SPY 140. 0.0161 0.0492 -0.0369 -0.0974 -0.0348 0.181 0.653 GLD 89.3 -0.0224 -0.0105
3 2008-02-04 20.4 SPY 138. -0.0126 0.0191 -0.0486 -0.0875 -0.0483 0.159 0.601 GLD 89.1 -0.0028 -0.0289
4 2008-02-05 20.4 SPY 134. -0.0268 -0.0131 -0.0508 -0.113 -0.074 0.125 0.556 GLD 87.7 -0.0159 -0.0381
5 2008-02-06 20.9 SPY 133. -0.0081 -0.0138 -0.0577 -0.113 -0.0817 0.118 0.558 GLD 88.9 0.0145 -0.0338
6 2008-02-07 20.6 SPY 134. 0.0066 -0.025 -0.0359 -0.119 -0.0777 0.114 0.578 GLD 89.8 0.0101 -0.017
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
